System and method for processing a trade order

ABSTRACT

Systems and apparatus for processing a trade order include a computer configured for receiving market data for a financial asset, receiving pricing parameters and receiving proposed order quantity and price data. The computer is further configured for constructing proposed trades based on the proposed order quantity and price data, and for calculating a theoretical price for the financial asset based on the market data, pricing parameters as well as the proposed order price data. In addition, the computer is configured for comparing the constructed trades with the theoretical price, and displaying market data indicators relative to the theoretical price indicators based on the comparison.

TECHNICAL FIELD

This disclosure is generally related to systems and apparatus forreceiving and processing trade orders and more particularly tocalculating and visually displaying the profitability and risk profileof a proposed trade to facilitate processing of a trade order.

BACKGROUND

Recent developments in derivatives trading have introduced a variety ofcomplex trading possibilities for investors. The complexity of thefinancial instruments currently traded on the modern markets can make itdifficult for an investor to make correct trading decisions. Currently,the available trading systems only provide a limited amount ofinformation to the traders, such as the current market bid/ask of afinancial asset. However, this information is often insufficient forinformed trading decision-making.

Consequently, it is highly desirable to have a new type of atrade-processing system and method that would make it possible toevaluate the proposed trade by providing an investor with up-to-dateprofitability and delta risk information in a format that is easy tocomprehend and that would enable the investor to make intelligenttrading decisions.

SUMMARY

The present disclosure relates generally to a method and a system forprocessing a trade order. In one embodiment, at least one computerdevice may receive market data relating to a financial asset, at leastone pricing parameter and proposed order quantity and price data. The atleast one computer device may then construct a proposed trade based theorder quantity and price data. The at least one computer device mayfurther calculate a theoretical price based on the received market data,the at least one pricing parameter, and the proposed order price data.The at least one computer device may then compare the proposed tradeswith the theoretical price to assess profitability and display marketdata indicators relative to the theoretical price indicator.

In another embodiment, a system for processing a trade order maycomprise executable instructions that generate a user graphicalinterface when the instructions are executed. The user interface may beconfigured to display one or more market data indicators relative to atheoretical price indicator. A theoretical price may be calculated basedon a proposed order price, pricing parameters, and market data relatingto a financial asset. Proposed price indicators may also be displayedand they may be based on the proposed order quantity and price. Therelation between the market data indicators and the theoretical priceindicator may be based on a comparison between the theoretical price andproposed trades.

In another embodiment, a system for trading financial instruments maycomprise an electronic exchange server. The electronic exchange servermay be configured to receive market data relating to a financial asset,at least one pricing parameter and proposed order quantity and pricedata. The electronic exchange server may further be configured toconstruct a proposed trade based on the order quantity and price data.The electronic exchange server may further be configured to calculate atheoretical price based on the received market data, the at least onepricing parameter, and the proposed order price data. The electronicexchange server may further be configured to compare the proposed tradewith the theoretical price to assess profitability and display marketdata indicators relative to the theoretical price indicator.

BRIEF DESCRIPTION OF THE DRAWINGS

The foregoing summary and the following detailed description are betterunderstood when read in conjunction with the appended drawings.Exemplary embodiments are shown in the drawings, however, it isunderstood that the embodiments are not limited to the specific methodsand instrumentalities depicted herein. In the drawings:

FIG. 1 is a diagram illustrating an exemplary user interface forprocessing trade orders.

FIG. 2 is a block diagram illustrating an exemplary system forprocessing trade orders.

FIG. 3 is a sequence diagram illustrating an exemplary method forprocessing trade orders.

DETAILED DESCRIPTION

The present disclosure relates generally to systems and methods forprocessing trade orders after receiving proposed trade information,market data and pricing parameters. Proposed trades may be constructedbased on the proposed trade information. A theoretical price may then becalculated based on the market data and the pricing parameters. Each ofthe proposed trades may then be compared to the theoretical price. Thetheoretical price and the market prices may then be displayed relativeto each other based on the comparison in order to visually demonstratetrade profitability.

The term “electronic exchange server” shall refer to any type of acomputing device. The electronic exchange server may comprise one ormore processors configured to execute instructions stored in anon-transitory memory. The electronic exchange server may be configuredto place orders in connection with financial instruments over a networkwhen the instructions are executed. An electronic exchange server may beembodied on a single computing device, while in other embodiments, anelectronic exchange server may refer to a plurality of computing deviceshoused in one or more facilities that are configured to jointly providelocal or remote computing services to one or more users or user devices.The electronic exchange server may send and receive data from userdevices, data servers, or any other type of computing devices orentities over the Internet, over a Wi-Fi connection, over a cellularnetwork or via any other wired or wireless connection or network knownin the art.

The term “computer” shall refer to any electronic device or devices,including those having capabilities to be utilized in connection with anelectronic exchange system, such as any device capable of receiving,transmitting, processing and/or using data and information. The computermay comprise a server, a processor, a microprocessor, a personalcomputer, such as a laptop, palm PC, desktop or workstation, a networkserver, a mainframe, an electronic wired or wireless device, such as forexample, a telephone, a cellular telephone, a personal digitalassistant, a smartphone, an interactive television, such as for example,a television adapted to be connected to the Internet or an electronicdevice adapted for use with a television, an electronic pager or anyother computing and/or communication device.

The term “network” shall refer to any type of network or networks,including those capable of being utilized in connection with anelectronic exchange system, such as, for example, any public and/orprivate networks, including, for instance, the Internet, an intranet, oran extranet, any wired or wireless networks or combinations thereof.

The term “asset” shall refer to any type of financial instrument, suchas, without limitation, outright options, spread options, optioncombinations, commodities, derivatives, shares, bonds and currencies.The term “derivatives” shall further refer to any type of options, caps,floors, collars, structured debt obligations and deposits, swaps,futures, forwards and various combinations thereof or any other type offinancial instruments that derive from another underlying financialinstrument.

The term “trade” shall refer to any type or part of a transaction orexchange that may occur in connection with one or more finicalinstruments.

The term “user interface” shall refer to any suitable type of device,connection, display and/or system through which information may beconveyed to a user, such as, without limitation, a monitor, a computer,a graphical user interface, a terminal, a screen, a telephone, apersonal digital assistant, a smartphone, or an interactive television.

The term “theoretical model” shall refer to any commercially known orcustomized models configured for valuation purposes, including, withoutlimitation and for illustration purposes only, any of the followingmodels: Black-Scholes model, Black model, Binomial options pricingmodel, Monte Carlo option model, Finite difference methods for optionpricing model, Heston model, Heath-Jarrow-Morton framework, VarianceGamma Model and any other theoretical valuation model known in the art.

The term “market data” shall refer to any data representative of anycurrent or historic market attributes of a financial asset. For example,market data may comprise market bid data, market ask data, market bidvolume data or any other financial data related to a financial asset.

The term “pricing parameters” shall refer to any type of data that canbe utilized to price a financial asset. For example, pricing parametermay comprise risk-free interest rate data, volatility data, time tooption expiration data, skew data, kurtosis data, correlation data,interest rate data, dividend yield data, forward price data relating toan underlying asset or any other type of financial data.

The term “electronic exchange” shall refer to any device, system orvenue that is capable of carrying out electronic asset exchangetransactions. For example, electronic exchange may refer to acommodities exchange, a futures execution facility, an options exchange,a cash equities exchange, a swap execution facility, an unregulatedelectronic transaction execution venue or any other type of an exchangevenue known in the art.

Trade Order Processing Method

In a first exemplary embodiment, the present disclosure relates to amethod of processing a trade order by a computer comprising anon-transitory memory for storing instructions and a processor forexecuting the instructions to perform certain functions. In oneembodiment, the computer may be an electronic exchange server. Thecomputer may be configured to receive and send data to and from userdevices and other servers over the Internet, over a Wi-Fi connection,over a cellular network or via any other wired or wireless connection ornetwork known in the art.

As an initial step, the exemplary method may include receiving marketdata for at least one type of a financial asset traded on an electronicexchange. In one embodiment, the financial asset may be selected by auser, while in other embodiments, the financial asset may be selectedautomatically by a computer. The market data may be received from openmarket sources, private market sources, internal sources, an externalmarket data server or from any other source.

As a next step, the exemplary method may include receiving at least onepricing parameter. The pricing parameters may be received from openinformation sources, private market sources, internal sources, anexternal pricing parameter data server or from any other source.

The exemplary trade processing method may further include receiving aproposed order quantity and a proposed order price relating to thefinancial asset. Optionally, the proposed order price and the proposedorder quantity may be selected via user interactions with a graphicaluser interface, however, other methods of receiving the proposed orderquantity and the proposed order price may also be used. For example, theuser may select the proposed order price by selecting, via a userinterface, a live market bid or live market ask pertaining to thefinancial asset.

Once the proposed order quantity and the proposed order price arereceived, the computer may construct one or more proposed trades basedon this data. In one embodiment, the proposed trades may comprise atrade based on the proposed order price and quantity. In anotherembodiment, additional trades may be constructed that use the proposedorder quantity, but use current market ask or market bid pricespertaining to the selected financial asset instead of the proposed orderprice. In another embodiment, the trades may be constructed using theproposed order quantity and the proposed order price in other ways knownin the art.

Next, the exemplary trade processing method may include calculating, bythe computer, a theoretical price of the financial asset. Optionally, atheoretical model may be used to calculate the theoretical price. Thetheoretical model may, for example, comprise one or more of theBlack-Scholes model, Black model, Binomial options pricing model, MonteCarlo option model, Finite difference methods for option pricing model,Heston model, Heath-Jarrow-Morton framework, Variance Gamma Model or anyother theoretical valuation model known in the art. The theoreticalmodel may be selected by the user. Alternatively, the theoretical modelmay be determined by the computer. Notably, one or more pricingparameters may be used as inputs to the theoretical model. Thetheoretical price may also be calculated by using at least one of thereceived market data and/or proposed order price data as an input to thetheoretical model. In one embodiment, the received market data, thepricing parameters, and/or the proposed order price data may all be usedas inputs for the theoretical model. In another embodiment, the step ofcalculating the theoretical price may also include calculating theimplied volatility of the financial asset. The volatility may becalculated by using a theoretical model or by other methods known in theart.

In one embodiment, where the financial asset is a derivative, the stepof calculating the theoretical price may include calculating thetheoretical price based on a mid-pint of a bid market price and an askmarket price of an underlying asset of the financial asset. The step ofcalculating the theoretical price may also include calculating atheoretical buying price based on the proposed order price being aproposed buying price. In this embodiment, the theoretical buying pricemay be calculated based, in part, on the value of the underlying assetthat may be used as a hedge for the purchase of the financial asset. Thestep of calculating the theoretical price may also include calculating atheoretical selling price based on the proposed order price being aproposed selling price. In this embodiment, the theoretical sellingprice may be calculated based, in part, on the value of the underlyingasset that may be used as a hedge for the sale of the financial asset.For example, if the financial asset is a call option, the theoreticalbuying price may be based, in part, on a bid market price of theunderlying asset of the call option. In this example, the purchase ofthe underlying asset may acts as a hedge to the purchase of the calloption. Consequently, in this example, the price of the underlying assetmay affect the theoretical buying price of the financial asset.

Once the theoretical price is calculated, the exemplary method mayfurther include comparing the proposed trades with the calculatedtheoretical price. The comparison may be accomplished, for example, byjuxtaposing the theoretical price against the price of the proposedtrades. The comparison may demonstrate the profitability of each of theproposed trades. For example, if a proposed trade includes a buy order,the proposed trade may be determined to be profitable if the price ofthe proposed trade is lower than the theoretical price. In anotherexample, where a proposed trade includes a sell order, the proposedtrade may be determined to be profitable if the price of the proposedtrade price is higher than the theoretical price. Other methods ofcomparing the prices known in the art may also be used.

The exemplary trade processing method may optionally include displayinga theoretical price indicator and market data indicators. Theseindicators may be displayed on a user interface or on any type ofdisplay including, without limitation, a computer monitor, a smart-phonescreen, a laptop screen or any other type of device capable ofdisplaying images. This exemplary trade processing method may alsoinclude displaying a proposed order quantity indicator and a proposedorder price indicator that reflect the proposed order quantity and pricerelative to the theoretical price. Notably, the proposed order priceindicator may overlap one of the market data indicators.

In one embodiment, the theoretical price indicator may be displayed in away that also visually indicates the theoretical buying price and thetheoretical selling price. In one embodiment, the theoretical priceindicator may comprise a centered mark based on a calculation of thetheoretical price versus the midpoint of the bid/ask market price of anunderlying asset of the financial asset. The theoretical price indicatormay also comprise a mark indicating the theoretical buying price and amark indicating the theoretical selling price.

In another embodiment, the theoretical price indicator may be displayedin a way that also visually indicates the calculated implied volatilityof the financial asset. For example, the theoretical price indicator maycomprise two volatility marks (e.g., displayed as price marks)indicative of a range of values of the bid/ask spread of the financialasset. The distance between the two volatility marks may be visuallyindicative of the delta risk of the financial asset. Optionally, thetheoretical price indicator may comprise a centered mark indicating thetheoretical price and two volatility marks to either side of thecentered mark indicating the delta risk of the financial asset.

The theoretical price indicator may reflect and be based on thecalculated theoretical price, while the market data indicators mayreflect and be based on the proposed trade prices. Optionally, themarket data indicators may be displayed relative to the theoreticalprice indicator so as to illustrate the comparison between thetheoretical price and the proposed trade prices. In one embodiment, thetheoretical price indicator may be displayed statically as a centeredmark (such as a bar, a point, a rectangle or any other type of a mark)in, or near, the middle of the user interface. In such an embodiment,the market data indicators may be displayed to the left or to the rightof the centered mark. In an alternative embodiment, the market dataindicators may be displayed above or below the centered mark. Theindicators displayed to the left or below the centered mark mayrepresent prices that are below the theoretical price, whereas theindicators displayed to the right or above the centered mark mayrepresent prices that are above the theoretical price. In anotherembodiment, each of the market data indicators may include a text boxthat includes current market price and volume data.

In yet another embodiment, the location of each of the displayed marketdata indicators may be updated dynamically in response to changes in thelive market data. For example, each of the market data indicators maycomprise a mark (or any other graphical indicator) that moves to theleft or to the right as the live market data is updated or as thetheoretical price is updated. In an alternative embodiment, the marketdata indicators may move up and down as the theoretical price isupdated. Optionally, the location of the market data indicators(relative to the theoretical price indicator) may indicate whether atrade is profitable or not. The position of the market data indicatorsmay also indicate the extent to which the trade are profitable. Forexample, if a trade includes a buy order, the location of a market dataindicator associated with a market ask price can indicate that the tradeis profitable if that market data indicator is displayed on a particularside of the theoretical price indicator. In this example, the distanceof the market data indicator from the theoretical price indicator mayindicate the extent of profitability.

Dynamic changes in the positions of the market data indicators discussedabove may be based on live fluctuations of market data, such asfluctuations in one or more of the market bid data, market ask data,market bid volume and market ask volume. Dynamic changes in thepositions of the market data indicators discussed above may also bebased on the changes in pricing parameters. Changes in other types ofmarket data known in the art may also affect the dynamic changes inpositions of the market data indicators.

Optionally, the user interface displaying the theoretical priceindicator and the market data indicators may comprise a graphical userinterface. The graphical user interface may be configured to display thetheoretical price indicators and the market data indicators, as well asto allow a user to select one of the proposed trades for execution. Forexample, the graphical user interface may comprise a button associatedwith each proposed trade. Once a user selects one of the proposedtrades, that proposed trade may be executed by the computer. In anotherembodiment, the graphical user interface may be configured to preventthe user from selecting a trade that is currently determined to beunprofitable. For example, a button associated with initiating anunprofitable proposed trade may be grayed out, or otherwise madeinaccessible. In yet another embodiment, the graphical user interfacemay be configured to enable a user to override the prevention of theselection of the unprofitable proposed trade. For example, each disabledbutton may have an associated override checkbox. The override checkboxmay re-activate the disabled button. Other methods of overriding theprevention may also be used.

The graphical user interface may also be configured to allow the user toselect a proposed trade that does not correspond to the proposed orderprice. For example, the graphical user interface may comprise buttonsassociated with live market bid and live market ask data. In oneembodiment, the user may be able to request a trade at the currentmarket ask price or at the current market bid price, even if the useroriginally proposed a price that does not correspond to one of thecurrent market prices. In another embodiment, the buttons associatedwith the proposed trades that are currently profitable may behighlighted in a way that makes the buttons distinct from other buttons.Other ways to highlight the profitable trades may also be used. Inanother embodiment, the buttons associated with proposed trades that donot correspond to the proposed order price may be made inaccessible ifthat trade is determined to be unprofitable.

Trade Order Processing Device

In accordance with the present disclosure, a computer for processing atrade order for an asset traded on an electronic exchange may compriseone or more processors for executing computer executable instructions.Execution of these instructions may cause the computer to generate agraphical user interface configured to display elements discussed aboveand/or further described below. The graphical user interface may beconfigured to be displayed on any type of a display device, including acomputer monitor, a smart-phone screen, a laptop screen or any othertype of device capable of displaying images.

The graphical user interface may be configured to display a theoreticalprice indicator and market data indicators associated with a financialasset traded on an electronic exchange. In one embodiment, the graphicaluser interface may also be configured to display a proposed orderquantity indicator and a proposed order price indicator that reflect theproposed order quantity and price relative to the theoretical priceindicator and the market data indicators. Notably, the proposed orderprice indicator may overlap one of the market data indicators. Forexample, the graphical user interface may be configured to display theproposed order price indicator as overlapping the proposed order priceindicator corresponding to the live market ask data or the live marketbid data.

In one embodiment, the graphical user interface may further beconfigured to display the theoretical price indicator a way that alsovisually indicates a theoretical buying price and a theoretical sellingprice. In one embodiment, the graphical user interface may be configuredto display the theoretical price indicator as comprising a centered markbased on a calculation of the theoretical price versus a midpoint of thebid/ask market price of an underlying asset of the financial asset. Thetheoretical price indicator may also comprise a mark indicating acalculated theoretical buying price and a mark indicating a calculatedtheoretical selling price. In one embodiment, the theoretical buyingprice and the theoretical selling price may be calculated based, inpart, on a price of an underlying asset of the financial asset that isbought or sold to hedge the sale or purchase of the financial asset.

Optionally, the graphical user interface may further be configured todisplay the theoretical price indicator in a way that visually indicatesa calculated implied volatility of a financial asset. For example, thegraphical user interface may be configured to display the theoreticalprice indicator that comprises two volatility marks (e.g., displayed asprice marks) defining a range of values based on a bid/ask spread of afinancial asset. In yet another embodiment, the distance between the twovolatility marks on the graphical user interface may visually indicate adelta risk of the financial asset. In one embodiment, the graphical userinterface may be configured to display the theoretical price indicatorstatically. For example, the theoretical price indicator may bedisplayed as a centered mark (such as a bar, a point, a rectangle or anyother type of a mark) in, or near, the middle of a graphical display.

The graphical user interface may also be configured to display marketdata indicators relative to the theoretical price indicator. Therelationship between these indictors may be based on the comparisonbetween the theoretical price and each of the proposed trades. In thisembodiment, the graphical user interface may be configured to update thelocation of the displayed market data indicators dynamically in responseto changes in the live market data or in the value of the theoreticalprice. For example, each of the market data indicators may comprise amark (or any other graphical indicator) that moves to the left or to theright (or up and down) as the live market data is updated, or as thetheoretical price is updated.

Notably, the location of the market data indicators relative to thetheoretical price indicator may indicate whether the trade is profitableor not. The position of the market data indicators may also indicate theextent to which the trade are profitable. For example, if a tradecomprises a buy order, the location of a market data indicatorassociated with a market ask can indicate that the trade is profitableif that market data indicator is displayed on a particular side of thetheoretical price indicator. In this example, the distance of the marketdata indicator from the theoretical price indicator may visuallyindicate the extent of the profitability.

The graphical user interface may also be configured to display dynamicchanges in the position of the market data indicators based on livefluctuations of the market data. In yet another embodiment, thegraphical user interface may be configured to display each of the marketdata indicators as comprising a text box that includes current marketprice data and/or volume data.

The graphical user interface may further be configured to receive inputfrom a user to select a proposed trade for execution. For example, thegraphical user interface may comprise a selection button associated witheach proposed trade. Once the user, via the selection button, selectsone of the proposed trades, the selected proposed trade may be executedby the computer. In another embodiment, the graphical user interface maybe configured to prevent the user from selecting a trade that iscurrently determined to be unprofitable. For example, a selection buttonassociated with an unprofitable proposed trade may be grayed out, orotherwise made inaccessible. In yet another embodiment, the userinterface may be configured to enable a user to override the preventionof the unprofitable proposed trade. For example, each disabled selectionbutton may have an associated override checkbox. The override checkboxmay re-activate the disabled selection button. Other methods ofoverriding the prevention may also be used.

In one embodiment, the user interface may be configured to receive inputfrom a user to select a proposed trade that does not correspond to theproposed order price. For example, the graphical user interface maycomprise selection buttons associated with the live market bid data andthe live market ask data. Thus, at any time, the user can chose (via oneor more selection buttons) to buy at the current ask price or sell atthe current bid price, even if the user originally proposed a price thatdoes not correspond to one of the current market prices. In anotherembodiment, the selection buttons associated with the proposed tradesthat are currently profitable may be highlighted in a way that makes thebuttons distinct from other buttons. Other ways to highlight theprofitable trades may also be used.

Trade Order Processing System

An exemplary computer system for processing a trade order in accordancewith the present disclosure may comprise an electronic exchange server.The electronic exchange server may comprise processors configured toexecute instructions stored in a non-transitory memory. Execution of theinstructions may cause the electronic exchange server to perform any ofthe features described above, and those further described below. Anelectronic exchange server may be embodied on a single computing device,while in other embodiments, the electronic exchange server may refer toa plurality of computing devices housed in one or more facilities thatare configured to jointly provide computing services to remote devices.The electronic exchange server may further be configured to receive andsend data to and from user devices and other servers over the Internet,over a Wi-Fi connection, over a cellular network or via any other wiredor wireless connection or network.

The electronic exchange server may be configured to receive market datafor a financial asset. In one embodiment, the financial asset may beselected by a user, while in other embodiments, the financial asset maybe selected automatically by the electronic exchange server. Theelectronic exchange server may be configured to receive market data fromopen market sources, private market sources, internal sources, anexternal market data server or from any other source. The electronicexchange server may further be configured to receive at least onepricing parameter. The pricing parameter may be received from openinformation sources, private market sources, internal sources, anexternal pricing parameter data server or from any other source.

The electronic exchange server may further be configured to receive aproposed order quantity and a proposed order price relating to thefinancial asset. Optionally, the proposed order quantity and theproposed order price may be selected via the user interactions with agraphical user interface, however, other methods of receiving theproposed order quantity and the proposed order price may also be used.For example, the user may select, via a graphical user interface, theproposed order price by selecting a displayed market bid or market askpertaining to the financial asset.

Once the proposed order quantity and the proposed order price arereceived, the electronic exchange server may be configured to constructone or more proposed trades based on this data. In one embodiment, theproposed trades may comprise a trade based on the proposed order price.In another embodiment, the electronic exchange server may be configuredto construct additional trades based on the proposed order quantityusing current market ask or market bid prices pertaining to thefinancial asset as the proposed order price.

The electronic exchange server may also be configured to calculate atheoretical price of the financial asset. Optionally, a theoreticalmodel may be initiated and used by the electronic exchange server tocalculate the theoretical price. The theoretical model may be selectedby the user. Alternatively, the theoretical model may be selected by theelectronic exchange server. Notably, the theoretical price may becalculated by using one or more of the pricing parameters, and receivedmarket data as inputs to the theoretical model. In one embodiment, theelectronic exchange server may be further configured to calculate thetheoretical price by also calculating an implied volatility of thefinancial asset. The volatility may be calculated by using a theoreticalmodel or by any other method known in the art.

In one embodiment, where the financial asset is a derivative, theelectronic exchange server may also be configured to calculate atheoretical buying price based on the proposed order price being aproposed buying price. In this embodiment, the electronic exchangeserver may be configured to calculate the theoretical buying pricebased, in part, on the value of the underlying asset that may be used asa hedge for the purchase of the financial asset. The electronic exchangeserver may also be configured to calculate the theoretical selling pricebased on the proposed order price being a proposed selling price. Inthis embodiment, the electronic exchange server may be configured tocalculate the theoretical selling price based, in part, on the value ofthe underlying asset that may be used as a hedge for the sale of thefinancial asset.

Optionally, the electronic exchange server may also be configured tocompare the proposed trades with the calculated theoretical price. Theelectronic exchange server may be configured to perform this comparisonby juxtaposing the theoretical price against the price of the proposedtrades. The comparison may yield an indication of profitability of theproposed trades.

Still further, the electronic exchange server may be configured togenerate and display a theoretical price indicator and market dataindicators. In one embodiment, the electronic exchange server may beconfigured to generate a graphical user interface and to display theseindicators on said graphical user interface. The theoretical priceindicator may be based on the calculated theoretical price and themarket data indicators may be based on the received market data.Optionally, the electronic exchange server may be configured to displaythe theoretical price indicator in a way that visually indicates thecalculated implied volatility of the financial asset. For example, thetheoretical price indicator may comprise two volatility marks indicativeof a range of values based on a bid/ask spread of the financial asset.In another embodiment, the theoretical price indicator may comprise amark indicative of the calculated theoretical buying price and a markindicative of the calculated theoretical selling price. In yet anotherembodiment, the distance between the two volatility marks may visuallyindicate the delta risk of the financial asset.

Additionally, an electronic exchange server may according to thisdisclosure be further configured to generate and display each of themarket data indicators relative to the theoretical price indicator so asto illustrate the comparison between the theoretical price and theproposed trade prices. In one embodiment, the theoretical priceindicator may be displayed statically as a centered mark in, or near,the middle of a user interface display. In such an embodiment, thelocations of the displayed market data indicators may be updateddynamically in response to changes in the live market data or in thevalue of the theoretical price. For example, each of the market dataindicators may be displayed, by the electronic exchange server, ascomprising marks (or any other graphical indicators) that move to theleft or to the right (or up and down) of the centered theoretical priceindicator. Optionally, the locations of the market data indicators mayindicate whether each of the proposed trade is profitable or not. Thepositions of the market data indicators may also indicate the extent towhich each of the proposed trades is profitable.

Notably, dynamic changes in the positions of the market data indicatorsdiscussed above may be based on live fluctuations of market data. Theelectronic exchange server may also be configured to display the marketdata indicators as comprising text bars that may include current marketbid data and/or market bid volume data, or current market ask dataand/or market ask volume data.

The electronic exchange server may be further configured to generate anddisplay a proposed order quantity indicator and a proposed order priceindicator that reflect the proposed order quantity and price relative tothe theoretical price indicator and the market data indicators. Notably,the proposed order price indicator may overlap one of the market dataindicators.

In yet another embodiment, the electronic exchange server may beconfigured to generate and/or display the theoretical price indicatorand the market data indicators via a graphical user interface. Thegraphical user interface may be generated by or independently of theelectronic exchange server. This graphical user interface may beconfigured with one or more of the features discussed above. Forexample, the graphical user interface may be configured to receive inputfrom a user to select one of the proposed trades for execution. Once theuser selects a proposed trade, that proposed trade may be executed bythe electronic exchange server. Further, the graphical user interfacemay be configured to prevent the user from selecting a trade that iscurrently determined to be unprofitable and/or enable a user to overridethe prevention of the selection of the unprofitable proposed trade. Theuser interface may be configured to receive input from a user to selecta proposed trade that does not correspond to a proposed order price.Thus, at any time, a user may be permitted to buy at a current ask priceor sell at a current bid price, even if the user originally proposed aprice that does not correspond to one of the current market prices.

Exemplary User Interface for Processing Trade Orders

Turning now to FIG. 1, an exemplary graphical user interface 100 forprocessing a trade orders is shown. The graphical user interface 100 maybe displayed on any type of display device including a computer monitor,a smart-phone screen, a laptop screen or any other type of devicecapable of displaying images.

The graphical user interface 100 may comprise a proposed order quantitytext box 105 and proposed order quantity selection arrows 110. Thegraphical user interface 100 may be configured to receive input in theform of a proposed order quantity typed directly into the text box 105,which may be modified by pressing the proposed order quantity selectionarrows 110. The graphical user interface 100 may further comprise aproposed order price text box 120 and proposed order price selectionarrows 125. The graphical user interface 100 may be configured toreceive input in the form of a proposed order price typed directly intothe text box 120, which may be modified by pressing the proposed orderprice section arrows 125.

The exemplary graphical user interface 100 comprises a financial assetindicator text box 115. The financial asset indicator text box 115 mayshow the name of the financial asset to be traded, the proposed orderquantity and the proposed order price. For example, in this embodiment,the trade indicator text box 115 is indicating that the financial asset“CL K13 9100 C” is to be traded at “2.5$” and that that the orderquantity is “1.”

The exemplary graphical user interface 100 also comprises a theoreticalprice indicator 150. As discussed above, the theoretical price indicatormay have been calculated based on the proposed price, market informationrelated to a financial asset and/or the pricing parameters. In thisembodiment, the theoretical price indicator 150 comprises a centeredmark 150 a. The centered mark may remain static for the duration of thetrade order processing. The theoretical price indicator 150 alsocomprises a range of values represented by a distance between a barindicative of a theoretical buying price 150 b and a bar indicative of atheoretical selling price 150 c on either side of the centered mark 150a. This range of values may reflect the theoretical values of thefinancial asset valued against the appropriate bid or ask of anunderlying asset of the financial asset that may be used to hedge thedelta risk of a sale or purchase of the financial asset. This range ofvalues may further reflect the delta risk of the financial asset.

Also included in this graphical user interface 100 are market dataindicators 130 a and 140 a. The market data indicators 130 a, 140 a mayrepresent proposed trades. The proposed trades may have been constructedbased on the methods discussed above. In this embodiment, a first marketdata indicator 130 a is indicative of the current live market bid of thefinancial asset. This market data indicator 130 a comprises a bar 130 bthat may dynamically change its position relative to the centered mark150 a of the theoretical price indicator 150. The distance 135 betweenthe bid bar 130 b and the theoretical selling price bar 150 c may beindicative of how profitable or unprofitable it is to sell the financialasset at the current bid. In this embodiment, the bid bar 130 b isdisplayed to the left of the theoretical selling price bar 150 c showingthat the bid price is lower than the theoretical selling price.Consequently, the graphical user interface 100 is indicating that it iscurrently unprofitable to sell the financial asset at the bid price. Inother embodiments, the bid bar 130 b may be displayed to the right ofthe theoretical selling price bar 150 c indicating that it is profitableto sell at the bid price. The market data indicator 130 a may displaythe current market bid price (“2.500” in this embodiment) and the volumeof the current market bid price ([30] in this embodiment).

A second market data indicator 140 a is indicative of the current livemarket ask of the financial asset. The market data indicator 140 acomprises a bar 140 b that may dynamically change its position relativeto the centered mark 150 a of the theoretical price indicator 150. Thedistance between the bar 140 b and the theoretical buying price bar 150b may be indicative of how profitable or unprofitable it is to buy atthe current ask. In this embodiment, the ask bar 140 b is displayed tothe right of the theoretical buying price bar 150 b indicating that theask price is currently higher than the theoretical price. Consequently,it is currently unprofitable to buy at the ask price. In otherembodiments, the ask bar 140 b may be displayed to the left of thetheoretical buying price bar 150 b indicating that it is profitable tobuy at the ask price. The market data indicator 140 a may display thecurrent market ask price (“2.540” in this embodiment) and the volume ofthe current market ask ([26] in this embodiment). It is also possible todisplay the bars 130 b, 140 b at other locations relative to thecentered mark 150 a and the theoretical price bars 150 b, 150 c. Forexample, the bars 130 b, 140 b may be displayed above or below thecentered mark 150 a.

The graphical user interface 100 in this exemplary embodiment alsocomprises a proposed order indicator 145 a. The proposed order indicator145 a is indicative of the proposed order quantity and price. Theproposed order indicator 145 a may comprise the proposed quantity ([1]in this embodiment) and price (“2.5” in this embodiment). Since theproposed price is often based on the current bid data or ask data, theproposed order indicator 145 a may be indicative of the same price valueas one of the market data indicators 130 a, 140 a. In the embodimentshown by the FIG. 1, the proposed order indicator 145 a is indicative ofthe same price value as the bid market data indicator 130 a. In otherembodiments, the proposed order indicator 145 a may be indicative of anyprice value. For example, the proposed order indicator 145 a may beindicative of any price value entered by the user in the text box 120.The proposed order indicator 145 a comprises a bar 145 b that maydynamically change its position relative to the centered mark 150 a ofthe theoretical price indicator 150. In the shown embodiment, theproposed price bar 145 b overlaps with the bid bar 130 b of the bidmarket data indicator 130 a. The bars 145 b and 130 b overlap becausethe market data indicator 130 a and the proposed order indicator 145 aare both indicative of the same price value (“2.5”). However, in otherembodiments, the proposed price bar 145 b may be located at any locationon the screen relative to the theoretical price indicator 150.

In this embodiment, the proposed order indicator bar 145 b is displayedto the left of the theoretical buying price bar 150 b indicating that itis profitable to buy at the proposed order price. In other embodiments,the proposed order indicator bar 145 b may be displayed to the right ofthe theoretical selling price bar 150 c indicating that it is profitableto sell at the proposed order price. In still other embodiments, theproposed order indicator bar 145 b may be displayed between or on thetheoretical buying price bar 150 b and theoretical selling price bar 150c indicating that it is not profitable to buy at the proposed orderprice and that is not profitable to sell at the proposed order price. Itis also possible to display the proposed order indicator bar 145 b atother locations relative to the centered mark 150 a and the theoreticalprice bars 150 b, 150 c. For example, the proposed order indicator bar145 b may be displayed above or below the centered mark 150 a.

The graphical user interface 100 also comprises several trade buttons160 a, 160 b, 160 c, 160 d. Each of the buttons 160 a, 160 b, 160 c, 160d may correspond to a proposed order or to the market data. In thisembodiment, button 160 a enables the user to place a buy trade order atthe proposed price, by clicking or selecting the button 160 a. Thebutton 160 d enables the user to place a sell trade order at theproposed price, by clicking or selecting the button 160 d. The button160 b enables the user to place a buy trade order at the live market askprice, by clicking or selecting the button 160 b. The button 160 cenables the user to place a sell trade order at the live market bidprice, by clicking or selecting the button 160 c.

In one embodiment, each of the buttons 160 a, 160 b, 160 c, 160 d thatcorresponds to a trade that is not profitable may be disabled by thegraphical user interface 100. For example, these buttons may appeardimmed or grayed-out. The user would be unable to click the disabledbutton to place an unprofitable trade. In another embodiment, each ofthe buttons 160 a, 160 b, 160 c, 160 d that corresponds to a trade thatis currently profitable may be highlighted by the interface, forexample, such buttons may change their colors and/or the intensity oftheir colors or begin flashing. In yet another embodiment, the graphicaluser interface 100 may also comprise override means such as checkboxes155 a and 155 b that allow the user to re-enable the buttons thatcorrespond to the unprofitable trades. In this embodiment, the user mayre-enable the buy buttons 160 a, 160 b by checking the checkbox 155 a.The user may also re-enable sell buttons 160 c, 160 d by checking thecheckbox 155 b.

The graphical user interface 100 also comprise zoom buttons 170 a and170 b. In one embodiment, the theoretical price indicator 150 may remaincentered in the middle of the graphical user interface 100 regardless ofthe level of zoom. The zoom-in button 170 a may enable the user toincrease the distance between the market data indicators 130 a, 140 aand the theoretical price indicator 150. The zoom-out button 170 b mayenable the user to decrease the distance between the market dataindicators 130 a, 140 a and the theoretical price indicator 150.However, in both cases, the distances of the market data indicators 130a, 140 a to the theoretical price indicator 150 will remain proportionaland indicative of the profitability of the proposed trades.

Exemplary System for Processing Trade Orders

Turning now to FIG. 2, an exemplary system 200 configured for processinga trade according to this disclosure is shown. The system 200 comprisesan electronic exchange server 220, market data server 225, pricingparameters server 230 and user devices 210 a, 210 b, 210 c. Each of theelectronic exchange server 220, market data server 225, pricingparameters server 230 may comprise one or more computing devices thatinclude non-transitory memory for storing instructions and a processorfor executing the instructions.

The electronic exchange server 220, the market data server 225, thepricing parameters server 230 may communicate with each other overnetworks 215 a, 215 b, 215 c. The networks 215 a, 215 b, 215 c maycomprise the Internet, Wi-Fi connections, cellular networks or any otherwired or wireless connection or network known in the art. The userdevices 215 a, 215 b, 215 c may comprise a desktop computer 210 a, alaptop 210 b a smartphone 210 c or any other user device known in theart.

The electronic exchange server 220 may be configured to receive marketdata relating to a financial asset from the market data server 225. Inone embodiment, the market data may be received remotely over a network215 b, while in another embodiment, the market data may be receivedlocally. The electronic exchange server 220 may further be configured toreceive pricing parameters from the pricing parameters server 230. Inone embodiment, the pricing parameters may be received remotely over anetwork 215 c, while in another embodiment the pricing parameters may bereceived locally.

The electronic exchange server 220 may further be configured to receiveproposed order quantity data and proposed order price data for financialassets from one or more of the user devices 210 a, 210 b, 210 c. Theelectronic exchange server 220 may further be configured to constructproposed trades based on received order quantity and price data. Theelectronic exchange server 220 may further be configured to calculate atheoretical price of a financial asset based on the received marketdata, pricing parameters and price data. The theoretical price of thefinancial asset may be calculated using the techniques and toolsdescribed above.

In one embodiment, the electronic exchange server 220 may further beconfigured to compare the constructed proposed trades against thecalculated theoretical price. After the comparison is performed, theelectronic exchange server 220 may be configured to generate and/orcause a graphical user interface to be displayed on one of the userdevices 210 a, 210 b, 210 c. That user interface may include thegraphical user interface described above, and comprise a theoreticalprice indicator, a proposed price indicator and the market dataindicators. The relative position of the proposed price indicator andthe market data indicators to the theoretical price indicator may bebased on the comparison performed by the electronic exchange server 220.In one embodiment, the relation of the location of the market dataindicators to the theoretical price indicator may indicate theprofitability of the proposed trades.

The electronic exchange server 220 may further be configured to receivea trade order from one of the user devices 210 a, 210 b, 210 c. In oneembodiment, the trade order may have been generated by a userinteraction with the user interface. The electronic exchange server 220may further be configured to execute the received trade order.

The market data server 225 may be configured to send market data to theelectronic exchange server 220. Optionally, the market data server 225may send the market data on request, while in other embodiments, themarket data server 225 may provide a constant or periodic stream ofmarket data relating to a plurality of financial assets. In oneembodiment, the market data server 225 may be a part of the electronicexchange server 220. In this embodiment, the market data server 225 maycommunicate with the electronic exchange server 220 using internal dataexchange techniques.

The pricing parameters server 230 may be configured to send pricingparameters to the electronic exchange server 220. The pricing parametersserver 230 may send the pricing parameters on request, while in otherembodiments, the pricing parameters server 230 may provide a constant orperiodic stream of pricing parameters, reflecting live marketconditions. The pricing parameters server 230 may optionally be a partof the electronic exchange server 220. In this embodiment, the pricingparameters server 230 may communicate with the electronic exchangeserver 220 using internal data exchange techniques.

Exemplary Method for Processing Trade Orders

Turning now to FIG. 3, an exemplary method 300 for processing a tradeorder is shown. The method 300 of FIG. 3 demonstrates an exemplarysequence of steps performed by an electronic exchange server and/or anyother properly configured computing device(s). The electronic exchangeserver may comprise one or more computing devices that includenon-transitory memory for storing instructions and a processor forexecuting the instructions to perform the steps of the illustratedmethod 300.

At 310, the electronic exchange server may receive market data relatingto a financial asset. The market data may be received remotely over anetwork or it may be received locally. At 315, the electronic exchangeserver may receive pricing parameters which may also be receivedremotely over a network or locally.

At 320, the electronic exchange server may receive proposed orderquantity data and proposed order price data for one or more financialassets from, e.g., a user device. At 330, the electronic exchange servermay construct proposed trades based on the order quantity and price datareceived at step 320. At 340, the electronic exchange server maycalculate a theoretical price of a financial asset based on the marketdata, pricing parameters and price data received at steps 310, 315 and320. The theoretical price may be calculated using the techniquesdescribed above.

At 345, the electronic exchange server may compare the proposed tradesconstructed at step 330 with the theoretical price calculated at step340. At 350, the electronic exchange server may cause a theoreticalprice indicator, a proposed price indicator and market data indicatorsto be displayed via, for example, a graphical user interface. Therelative position of the proposed price indicator and the market dataindicators to the theoretical price indicator may be based on thecomparison performed at step 345. In particular, the relative locationof the proposed price indicator and the market data indicators to thetheoretical price indicator may indicate the profitability of theproposed trades,

Optionally, the electronic exchange server may also receive and executetrade order requests from a user device. The trade orders requests maybe generated by user interactions with the electronic exchange server(e.g., via a graphical interface).

The foregoing embodiments and examples are provided merely for thepurpose of explanation and are in no way to be construed as limiting.While reference to various embodiments are shown, the words used hereinare words of description and illustration, rather than words oflimitation. Further, although reference to particular means, materials,and embodiments are shown, there is no limitation to the particularsdisclosed herein. Rather, the embodiments extend to all functionallyequivalent structures, methods, and uses, such as those that are withinthe scope of the appended claims.

1. A method for generating an improved dynamic graphical user interface(GUI), the method comprising: in an electronic exchange servercomprising a processor executing computer-readable program code thatcause the electronic exchange server to perform the steps of:continuously receiving live market data; generating a graphical userinterface (GUI) comprising a plurality of dedicated areas comprising atleast one input area for receiving input and at least one dedicateddisplay area for displaying one or more graphic indicators; receiving,via the at least one input area of the GUI, input from at least one userdevice, the input comprising data defining one or more of a pricingparameter, a proposed order price, and one or more proposed trades;determining a theoretical price based on one or more of the live marketdata, the pricing parameter, and the proposed order price by:automatically selecting a computational model among a plurality ofcomputational models for calculating the theoretical price, andinputting the one or more of the live market data, the pricingparameter, and the proposed order price into the computational model togenerate the theoretical price; generating a theoretical price indicatorassociated with the determined theoretical price; generating one or moremarket data indicators associated with the one or more proposed trades,the one or more market data indicators comprising a dynamic bar thatcontinually moves within the at least one dedicated display arearelative to the theoretical price indicator based on fluctuations in thelive market data; displaying, within the at least one dedicated displayarea of the GUI, the theoretical price indicator; displaying, within theat least one dedicated display area of the GUI, the one or more marketdata indicators; determining, in real-time, fluctuations in the livemarket data; in response to the determined fluctuations, automaticallyand continuously moving the dynamic bar relative to the theoreticalprice indicator, such that a distance between the dynamic bar and thetheoretical price indicator represents a change in profitability of atleast one of the one or more proposed trades in real-time; displaying,within the at least one dedicated display area of the GUI, a pluralityof graphical elements, each graphical element of the plurality ofgraphical elements corresponding to a respective proposed trade of theone or more proposed trades; determining that at least one proposedtrade is unprofitable; based on said determining that the at least oneproposed trade is unprofitable, preventing a user associated with the atleast one user device from selecting the at least one proposed tradethat is unprofitable by disabling a graphical element among theplurality of graphical elements that corresponds to the at least oneproposed trade; receiving an override request from the at least one userdevice via user input to the GUI; and based on the override request,re-activating the graphical element that corresponds to the at least oneproposed trade.
 2. The method of claim 1, the method further comprising:displaying, within the at least one input area of the GUI, a proposedorder quantity indicator and a proposed order price indicator.
 3. Themethod of claim 1, the method further comprising: setting the proposedorder price to at least one of a market bid and a market ask included inthe live market data.
 4. The method of claim 1, wherein the theoreticalprice is determined using one or more theoretical models of theplurality of computational models.
 5. The method of claim 4, wherein theone or more theoretical models comprise a user-specified theoreticalmodel.
 6. The method of claim 1, wherein the theoretical price indicatorcomprises a centered static mark and the dynamic bar moves relative tothe centered static mark.
 7. The method of claim 1, wherein the livemarket data comprises one or more of market bid data, market ask data,market bid volume, and market ask volume.
 8. The method of claim 1, themethod further comprising: displaying, within the at least one dedicateddisplay area of the GUI, the theoretical price indicator in a mannerthat reflects risk associated with the one or more proposed trades. 9.The method of claim 1, wherein the theoretical price is determined bycalculating an implied volatility of at least one type of asset tradedon at least one electronic exchange.
 10. The method of claim 9, whereinthe theoretical price indicator comprises a range of values that arebased on a bid/ask spread of the at least one type of asset traded onthe at least one electronic exchange.
 11. The method of claim 10,wherein a width of the range of values of the theoretical priceindicator indicates a delta risk of the at least one type of assettraded on the at least one electronic exchange.
 12. The method of claim9, wherein the at least one electronic exchange comprises at least oneof a commodities exchange, a futures execution facility, an optionsexchange, a cash equities exchange, a swap execution facility and anunregulated electronic transaction execution venue.
 13. The method ofclaim 9, wherein the at least one type of asset comprises at least oneof an outright option, a spread option, and an option combination. 14.The method of claim 1, the method further comprising: displaying, withinthe at least one dedicated display area of the GUI, one or more buttonsthat allow a user to select which of the one or more proposed tradeswill be executed.
 15. The method of claim 14, the method furthercomprising: allowing a user to select a profitable proposed trade withinthe at least one dedicated display area of the GUI that does notcorrespond to the proposed order price.
 16. The method of claim 15, themethod further comprising: automatically selecting a profitable proposedtrade that is based on at least one of a live market bid and a livemarket ask selected by the user.
 17. The method of claim 1, the methodfurther comprising: highlighting, within the at least one dedicateddisplay area of the GUI, each of the one or more market data indicatorsthat are associated with proposed trades that are profitable.
 18. Themethod of claim 1, wherein the theoretical price is further determinedbased on at least one pricing parameter comprising at least one ofrisk-free interest rate data, volatility data, time to option expirationdata, skew data, kurtosis data, correlation data, interest rate data,dividend yield data, and forward price data relating to an underlyingasset.
 19. The method of claim 1, wherein the theoretical priceindicator comprises a range of values that are based on a price of anunderlying asset of at least one type of asset, wherein the underlyingasset is used as a hedge for purchase or sale of the at least one typeof asset.
 20. The method of claim 1, the method further comprising:receiving the live market data for at least one type of asset traded onat least one electronic exchange; receiving the pricing parameter;receiving a proposed order quantity; receiving the proposed order price;constructing the one or more proposed trades based on the proposed orderquantity and the proposed order price; and comparing the one or moreproposed trades with the theoretical price to determine whether any ofthe one or more proposed trades are profitable.
 21. The method of claim1, the method further comprising: displaying the GUI on a remote userdevice via a network; generating a real-time notification when theprofitability of the one or more proposed trades has changed; andsending the real-time notification to the GUI via the network.
 22. Themethod of claim 1, the method further comprising: receiving, via the atleast one input area of the GUI, the input from the at least one userdevice via one or more of an order text box and an order selectionarrow.
 23. The method of claim 1, wherein a market data indicator of theone or more market data indicators comprises a current live market bidand the dynamic bar comprises a live bid price.
 24. The method of claim1, wherein a market data indicator of the one or more market dataindicators comprises a current live market ask and the dynamic barcomprises a live ask price.